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Its something that's tripped me up a few times - 'themes' in KDE4 seems to refer to the window decorations theme, when it also meant, IIRC the themes used for application in KDE3. There is a way to change this - the colours module, though this is less than apparent

You need to change this in the KDE colours module - simply type in colours in the KDE menu

You can pick a pre-created theme from the scheme tab - this is a useful starting point for customisation

Or Create your own theme in the colours tab if you need to tweak colours -the 'inactive' and 'disabled' tabs that also affect parts of the theme, and options affects where the theme is used (for example in non KDE apps) and other such things